Background Although place of death has been recognized as a risk factor in caregivers' bereavement adjustment, the estimation of the effect of the place of death needs careful consideration about many potential cofounders. Patients and methods This study was a nationwide cross‐sectional questionnaire survey for bereaved family caregivers of patients with cancer who died in 3 settings: (1) hospice at home; (2) palliative care units (PCUs); and (3) acute hospitals. We assessed bereaved caregivers' depression, grief, insomnia, and the quality of dying of deceased patients across the 3 groups using propensity score weighting. Results A total of 8968 responses were analyzed. According to scores on Patient Health Questionnaire 9, depressive symptoms were significantly higher in bereaved caregivers of patients who had died in acute hospitals (5.7; 95% confidence interval [CI]: 5.3‐6.2) than for those of patients who had died in hospice at home (4.8; 95% CI: 4.4‐5.1) or PCU (5.1; 95% CI: 5.0‐5.2). Grief symptoms measured by Brief Grief Questionnaire were also significantly higher in caregivers of patients who had died in acute hospitals (5.0; 95% CI: 4.8‐5.2) than those of patients who had died in hospice at home (4.7; 95% CI: 4.5‐4.9) or PCU (4.7; 95% CI: 4.7‐4.8). Deceased patients' quality of dying was highest in hospice at home, and worst in acute hospital. Conclusions The place where a cancer patient dies influences not only their quality of dying and death but also the mental health of their family caregivers. However, the absolute difference is not large after adjustment of multiple variables.